feat: support bitmex orderBookL2 timestamps

tardis-dev · Feb 14, 2022 · 5f736a4 · 5f736a4
1 parent be9b85b
commit 5f736a4
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Showing 3 changed files with 116 additions and 1 deletion.
diff --git a/src/mappers/bitmex.ts b/src/mappers/bitmex.ts
@@ -100,8 +100,20 @@ export class BitmexBookChangeMapper implements Mapper<'bitmex', BookChange> {
     for (let symbol in bitmexBookMessagesGrouppedBySymbol) {
       const bids: BookPriceLevel[] = []
       const asks: BookPriceLevel[] = []
+      let latestBitmexTimestamp: Date | undefined = undefined
 
       for (const item of bitmexBookMessagesGrouppedBySymbol[symbol]) {
+        if (item.timestamp !== undefined) {
+          const priceLevelTimestamp = new Date(item.timestamp)
+          if (latestBitmexTimestamp === undefined) {
+            latestBitmexTimestamp = priceLevelTimestamp
+          } else {
+            if (priceLevelTimestamp.valueOf() > latestBitmexTimestamp.valueOf()) {
+              latestBitmexTimestamp = priceLevelTimestamp
+            }
+          }
+        }
+
         // https://www.bitmex.com/app/restAPI#OrderBookL2
         if (item.price !== undefined) {
           // store the mapping from id to price level if price is specified
@@ -136,7 +148,7 @@ export class BitmexBookChangeMapper implements Mapper<'bitmex', BookChange> {
           isSnapshot,
           bids,
           asks,
-          timestamp: localTimestamp,
+          timestamp: latestBitmexTimestamp !== undefined ? latestBitmexTimestamp : localTimestamp,
           localTimestamp: localTimestamp
         }
 
@@ -314,6 +326,7 @@ type BitmexOrderBookL2Message = BitmexDataMessage & {
     side: 'Buy' | 'Sell'
     size?: number
     price?: number
+    timestamp?: string
   }[]
 }
 

diff --git a/test/__snapshots__/mappers.test.ts.snap b/test/__snapshots__/mappers.test.ts.snap
@@ -1772,6 +1772,79 @@ Array [
 ]
 `;
 
+exports[`mappers map bitmex messages 16`] = `
+Array [
+  Object {
+    "asks": Array [
+      Object {
+        "amount": 1000000,
+        "price": 42362,
+      },
+      Object {
+        "amount": 10000,
+        "price": 662520,
+      },
+      Object {
+        "amount": 20000,
+        "price": 658900,
+      },
+    ],
+    "bids": Array [],
+    "exchange": "bitmex",
+    "isSnapshot": true,
+    "localTimestamp": 2019-06-01T00:00:28.619Z,
+    "symbol": "XBTUSD",
+    "timestamp": 2022-02-14T07:59:54.829Z,
+    "type": "book_change",
+  },
+]
+`;
+
+exports[`mappers map bitmex messages 17`] = `
+Array [
+  Object {
+    "asks": Array [],
+    "bids": Array [
+      Object {
+        "amount": 20000,
+        "price": 42362,
+      },
+    ],
+    "exchange": "bitmex",
+    "isSnapshot": false,
+    "localTimestamp": 2019-06-01T00:00:28.619Z,
+    "symbol": "XBTUSD",
+    "timestamp": 2022-02-14T08:06:54.742Z,
+    "type": "book_change",
+  },
+]
+`;
+
+exports[`mappers map bitmex messages 18`] = `
+Array [
+  Object {
+    "asks": Array [
+      Object {
+        "amount": 0,
+        "price": 662520,
+      },
+    ],
+    "bids": Array [
+      Object {
+        "amount": 0,
+        "price": 658900,
+      },
+    ],
+    "exchange": "bitmex",
+    "isSnapshot": false,
+    "localTimestamp": 2019-06-01T00:00:28.619Z,
+    "symbol": "XBTUSD",
+    "timestamp": 2022-02-14T08:34:56.913Z,
+    "type": "book_change",
+  },
+]
+`;
+
 exports[`mappers map bitstamp messages 1`] = `Array []`;
 
 exports[`mappers map bitstamp messages 2`] = `

diff --git a/test/mappers.test.ts b/test/mappers.test.ts
@@ -749,6 +749,35 @@ describe('mappers', () => {
         attributes: { symbol: 'parted', id: 'sorted' },
         filter: { symbol: 'XBTZ21' },
         data: []
+      },
+
+      {
+        table: 'orderBookL2',
+        action: 'partial',
+        keys: ['symbol', 'id', 'side'],
+        types: { symbol: 'symbol', id: 'long', side: 'symbol', size: 'long', price: 'float', timestamp: 'timestamp' },
+        foreignKeys: { symbol: 'instrument', side: 'side' },
+        attributes: { symbol: 'grouped' },
+        filter: { symbol: 'XBTUSD' },
+        data: [
+          { symbol: 'XBTUSD', id: 8791115350, side: 'Sell', size: 1000000, price: 42362, timestamp: '2022-02-14T07:59:54.829Z' },
+          { symbol: 'XBTUSD', id: 8733748000, side: 'Sell', size: 10000, price: 662520, timestamp: '2022-02-14T07:59:54.829Z' },
+          { symbol: 'XBTUSD', id: 8734110000, side: 'Sell', size: 20000, price: 658900, timestamp: '2022-02-14T07:59:54.829Z' }
+        ]
+      },
+      {
+        table: 'orderBookL2',
+        action: 'insert',
+        data: [{ symbol: 'XBTUSD', id: 8791115350, side: 'Buy', size: 20000, price: 42362, timestamp: '2022-02-14T08:06:54.742Z' }]
+      },
+
+      {
+        table: 'orderBookL2',
+        action: 'delete',
+        data: [
+          { symbol: 'XBTUSD', id: 8733748000, side: 'Sell', timestamp: '2022-02-14T08:34:56.852Z' },
+          { symbol: 'XBTUSD', id: 8734110000, side: 'Buy', timestamp: '2022-02-14T08:34:56.913Z' }
+        ]
       }
     ]